[man-and-laptop]

Taleb's book The Black Swan has sections comparing heavy-tailed prob. distributions with thin-tailed prob. distributions. The thesis is that you can't tell whether a distribution has fat tails until a fat-tailed event happens (which he calls a black swan). Also goes into the flaws of using induction, the flaws in ascribing causes when there are "silent witnesses", and so on. I don't think there's any specific practical advice. It's more "If you work in economics and other areas, your research may well be doomed." Taleb's advice is often "Don't do this", instead of "Do this".

I'm reading Anti-Fragile now. Can't off the top of my head give you advice on experiment design or statistics. [EDIT] It's more about designing systems that benefit from the unpredictability of the world, instead of building systems that are harmed by unpredictability. [EDIT] It's an important companion to his previous book, because it gives positive advice on how to make decisions in a world that isn't amenable to understanding because of complexity. It effectively gives positive advice, instead of just negative.

There's also SITG that I'd like to read. And there's a "Technical Incerto" which looks like a work-in-progress, but involves concrete statistics.

[edit] He's also tweeting the contents of a new Data Science course he's teaching at NYU. Be warned that Taleb is a bit of an arsehole on Twitter.